0001085146-13-000971.txt : 20130515
0001085146-13-000971.hdr.sgml : 20130515
20130515130457
ACCESSION NUMBER: 0001085146-13-000971
CONFORMED SUBMISSION TYPE: 13F-HR
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20130331
FILED AS OF DATE: 20130515
DATE AS OF CHANGE: 20130515
EFFECTIVENESS DATE: 20130515
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: ELLINGTON MANAGEMENT GROUP LLC
CENTRAL INDEX KEY: 0001098490
IRS NUMBER: 061441140
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: 13F-HR
SEC ACT: 1934 Act
SEC FILE NUMBER: 028-11539
FILM NUMBER: 13845290
BUSINESS ADDRESS:
STREET 1: 53 FOREST AVENUE
CITY: OLD GREENWICH
STATE: CT
ZIP: 06870
BUSINESS PHONE: 2036981200
MAIL ADDRESS:
STREET 1: 53 FOREST AVENUE
CITY: OLD GREENWICH
STATE: CT
ZIP: 06870
13F-HR
1
ellington1q2013.txt
ELLINGTON MANAGEMENT GROUP, LLC
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: March 31, 2013
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Ellington Management Group, LLC
Address: 53 Forest Avenue
Old Greenwich, CT 06870
13F File Number: 028-11539
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: David Rice
Title: Chief Compliance Officer
Phone: 203-698-1200
Signature, Place, and Date of Signing:
/s/ David Rice Greenwich, CT May 15, 2013
Report Type (Check only one.):
[ X] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 791
Form 13F Information Table Value Total: $479,483 (thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file number(s) of all
institutional managers with respect to which this report is filed, other
than the manager filing this report.
NONE
FORM 13F INFORMATION TABLE
VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY
NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- --------
AAON INC COM PAR $0.004 000360206 444 16100 SH SOLE 9100 0 7000
AAR CORP COM 000361105 248 13500 SH SOLE 7600 0 5900
ABAXIS INC COM 002567105 218 4600 SH SOLE 2600 0 2000
ABB LTD SPONSORED ADR 000375204 325 14300 SH SOLE 8000 0 6300
ABERCROMBIE & FITCH CO CL A 002896207 245 5300 SH SOLE 3000 0 2300
ACACIA RESH CORP ACACIA TCH COM 003881307 1098 36400 SH SOLE 20600 0 15800
ACCRETIVE HEALTH INC COM 00438V103 291 28600 SH SOLE 16300 0 12300
ACCURIDE CORP NEW COM NEW 00439T206 116 21591 SH SOLE 12415 0 9176
ACE LTD SHS H0023R105 205 2300 SH SOLE 1300 0 1000
ACORDA THERAPEUTICS INC COM 00484M106 753 23500 SH SOLE 13300 0 10200
ACTIVISION BLIZZARD INC COM 00507V109 170 11700 SH SOLE 6700 0 5000
ACTUANT CORP CL A NEW 00508X203 208 6800 SH SOLE 3800 0 3000
ADECOAGRO S A COM L00849106 111 14400 SH SOLE 8100 0 6300
ADVISORY BRD CO COM 00762W107 924 17600 SH SOLE 9900 0 7700
AEGEAN MARINE PETROLEUM NETW SHS Y0017S102 187 27800 SH SOLE 15700 0 12100
AEGON N V NY REGISTRY SH 007924103 428 71200 SH SOLE 40200 0 31000
AEROPOSTALE COM 007865108 611 44900 SH SOLE 25200 0 19700
AES CORP COM 00130H105 520 41400 SH SOLE 23400 0 18000
AFFILIATED MANAGERS GROUP COM 008252108 691 4500 SH SOLE 2500 0 2000
AFFYMETRIX INC COM 00826T108 271 57500 SH SOLE 32400 0 25100
AFLAC INC COM 001055102 973 18700 SH SOLE 10600 0 8100
AGCO CORP COM 001084102 1095 21000 SH SOLE 11900 0 9100
AIR METHODS CORP COM PAR $.06 009128307 671 13900 SH SOLE 7800 0 6100
AIRCASTLE LTD COM G0129K104 404 29500 SH SOLE 16700 0 12800
AKORN INC COM 009728106 387 28000 SH SOLE 15800 0 12200
ALASKA AIR GROUP INC COM 011659109 237 3700 SH SOLE 2000 0 1700
ALBANY MOLECULAR RESH INC COM 012423109 961 91400 SH SOLE 51600 0 39800
ALBEMARLE CORP COM 012653101 375 6000 SH SOLE 3400 0 2600
ALEXANDER & BALDWIN INC NEW COM 014491104 1055 29500 SH SOLE 16600 0 12900
ALIGN TECHNOLOGY INC COM 016255101 1149 34300 SH SOLE 19400 0 14900
ALKERMES PLC SHS G01767105 223 9400 SH SOLE 5300 0 4100
ALLEGIANT TRAVEL CO COM 01748X102 1039 11700 SH SOLE 6600 0 5100
ALLERGAN INC COM 018490102 380 3400 SH SOLE 1900 0 1500
ALLIED WRLD ASSUR COM HLDG A SHS H01531104 297 3200 SH SOLE 1800 0 1400
ALLSTATE CORP COM 020002101 363 7400 SH SOLE 4200 0 3200
ALON USA ENERGY INC COM 020520102 964 50600 SH SOLE 28600 0 22000
ALTERA CORP COM 021441100 305 8600 SH SOLE 4700 0 3900
ALTISOURCE PORTFOLIO SOLNS S REG SHS L0175J104 572 8200 SH SOLE 4600 0 3600
AMARIN CORP PLC SPONS ADR NEW 023111206 594 80200 SH SOLE 45300 0 34900
AMAZON COM INC COM 023135106 826 3100 SH SOLE 1700 0 1400
AMC NETWORKS INC CL A 00164V103 967 15300 SH SOLE 8700 0 6600
AMEREN CORP COM 023608102 525 15000 SH SOLE 8500 0 6500
AMERESCO INC CL A 02361E108 90 12100 SH SOLE 6800 0 5300
AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 208 9900 SH SOLE 5600 0 4300
AMERICAN ASSETS TR INC COM 024013104 384 12000 SH SOLE 6800 0 5200
AMERICAN CAP LTD COM 02503Y103 363 24900 SH SOLE 14100 0 10800
AMERICAN EAGLE OUTFITTERS NE COM 02553E106 2036 108900 SH SOLE 61500 0 47400
AMERICAN EQTY INVT LIFE HLD COM 025676206 564 37900 SH SOLE 21400 0 16500
AMERICAN INTL GROUP INC COM NEW 026874784 582 15000 SH SOLE 8500 0 6500
AMERICAN RAILCAR INDS INC COM 02916P103 257 5500 SH SOLE 3000 0 2500
AMERICAN VANGUARD CORP COM 030371108 1148 37600 SH SOLE 21200 0 16400
AMERICAN WOODMARK CORP COM 030506109 279 8200 SH SOLE 4600 0 3600
AMERICAN WTR WKS CO INC NEW COM 030420103 381 9200 SH SOLE 5200 0 4000
ANACOR PHARMACEUTICALS INC COM 032420101 718 111100 SH SOLE 62800 0 48300
ANALOG DEVICES INC COM 032654105 860 18500 SH SOLE 10400 0 8100
ANALOGIC CORP COM PAR $0.05 032657207 324 4100 SH SOLE 2300 0 1800
ANDERSONS INC COM 034164103 278 5200 SH SOLE 3000 0 2200
ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 577 24500 SH SOLE 13800 0 10700
ANIXTER INTL INC COM 035290105 594 8500 SH SOLE 4800 0 3700
ANN INC COM 035623107 554 19100 SH SOLE 10700 0 8400
AOL INC COM 00184X105 423 11000 SH SOLE 6200 0 4800
APACHE CORP COM 037411105 378 4900 SH SOLE 2800 0 2100
APOLLO GROUP INC CL A 037604105 1140 65600 SH SOLE 37100 0 28500
APPLE INC COM 037833100 1018 2300 SH SOLE 1300 0 1000
APPLIED INDL TECHNOLOGIES IN COM 03820C105 401 8900 SH SOLE 5000 0 3900
APPLIED MICRO CIRCUITS CORP COM NEW 03822W406 231 31100 SH SOLE 17600 0 13500
APTARGROUP INC COM 038336103 465 8100 SH SOLE 4600 0 3500
AQUA AMERICA INC COM 03836W103 446 14200 SH SOLE 8000 0 6200
ARBOR RLTY TR INC COM 038923108 152 19400 SH SOLE 11000 0 8400
ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 267 20500 SH SOLE 11600 0 8900
ARIAD PHARMACEUTICALS INC COM 04033A100 694 38400 SH SOLE 21600 0 16800
ARM HLDGS PLC SPONSORED ADR 042068106 275 6500 SH SOLE 3600 0 2900
ARRIS GROUP INC COM 04269Q100 388 22600 SH SOLE 12800 0 9800
ARTHROCARE CORP COM 043136100 292 8400 SH SOLE 4700 0 3700
ASCENA RETAIL GROUP INC COM 04351G101 215 11600 SH SOLE 6500 0 5100
ASHFORD HOSPITALITY TR INC COM SHS 044103109 235 19000 SH SOLE 10800 0 8200
ASHLAND INC NEW COM 044209104 386 5200 SH SOLE 3000 0 2200
ASPEN INSURANCE HOLDINGS LTD SHS G05384105 316 8200 SH SOLE 4600 0 3600
ASPEN TECHNOLOGY INC COM 045327103 701 21700 SH SOLE 12300 0 9400
ASSURED GUARANTY LTD COM G0585R106 995 48300 SH SOLE 27300 0 21000
ASTEX PHARMACEUTICALS INC COM 04624B103 131 29400 SH SOLE 16600 0 12800
AT&T INC COM 00206R102 264 7200 SH SOLE 4100 0 3100
ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 334 8200 SH SOLE 4600 0 3600
ATMEL CORP COM 049513104 191 27400 SH SOLE 15400 0 12000
AUDIENCE INC COM 05070J102 326 21400 SH SOLE 12100 0 9300
AVERY DENNISON CORP COM 053611109 349 8100 SH SOLE 4600 0 3500
AVG TECHNOLOGIES N V SHS N07831105 582 41800 SH SOLE 23600 0 18200
AVON PRODS INC COM 054303102 446 21500 SH SOLE 12200 0 9300
AXIALL CORP COM 05463D100 1225 19700 SH SOLE 11200 0 8500
AZZ INC COM 002474104 583 12100 SH SOLE 6800 0 5300
BABCOCK & WILCOX CO NEW COM 05615F102 1534 54000 SH SOLE 30100 0 23900
BAIDU INC SPON ADR REP A 056752108 614 7000 SH SOLE 4000 0 3000
BANCO BILBAO VIZCAYA ARGENTA SPONSORED ADR 05946K101 170 19400 SH SOLE 11000 0 8400
BANCO MACRO SA SPON ADR B 05961W105 203 13800 SH SOLE 7680 0 6120
BANCO SANTANDER CHILE NEW SP ADR REP COM 05965X109 470 16500 SH SOLE 9300 0 7200
BANCOLOMBIA S A SPON ADR PREF 05968L102 911 14400 SH SOLE 8200 0 6200
BANCORP INC DEL COM 05969A105 294 21200 SH SOLE 12000 0 9200
BANNER CORP COM NEW 06652V208 398 12500 SH SOLE 7100 0 5400
BARCLAYS PLC ADR 06738E204 1083 61000 SH SOLE 34400 0 26600
BARD C R INC COM 067383109 786 7800 SH SOLE 4500 0 3300
BARNES GROUP INC COM 067806109 538 18600 SH SOLE 10500 0 8100
BARRETT BUSINESS SERVICES IN COM 068463108 379 7200 SH SOLE 4100 0 3100
BB&T CORP COM 054937107 229 7300 SH SOLE 4100 0 3200
BBCN BANCORP INC COM 073295107 549 42000 SH SOLE 23700 0 18300
BEACON ROOFING SUPPLY INC COM 073685109 379 9800 SH SOLE 5500 0 4300
BELDEN INC COM 077454106 356 6900 SH SOLE 3900 0 3000
BENCHMARK ELECTRS INC COM 08160H101 548 30400 SH SOLE 17200 0 13200
BERKSHIRE HATHAWAY INC DEL CL B NEW 084670702 490 4700 SH SOLE 2600 0 2100
BIG 5 SPORTING GOODS CORP COM 08915P101 436 27900 SH SOLE 15700 0 12200
BIG LOTS INC COM 089302103 716 20300 SH SOLE 11500 0 8800
BIOSCRIP INC COM 09069N108 414 32600 SH SOLE 18400 0 14200
BLOOMIN BRANDS INC COM 094235108 1136 63600 SH SOLE 36000 0 27600
BLOUNT INTL INC NEW COM 095180105 177 13200 SH SOLE 7500 0 5700
BLYTH INC COM NEW 09643P207 372 21400 SH SOLE 12100 0 9300
BOEING CO COM 097023105 618 7200 SH SOLE 4000 0 3200
BOINGO WIRELESS INC COM 09739C102 84 15200 SH SOLE 8600 0 6600
BOISE INC COM 09746Y105 591 68200 SH SOLE 38500 0 29700
BOSTON PRIVATE FINL HLDGS IN COM 101119105 135 13700 SH SOLE 7800 0 5900
BOSTON PROPERTIES INC COM 101121101 253 2500 SH SOLE 1400 0 1100
BOULDER BRANDS INC COM 101405108 1108 123200 SH SOLE 69600 0 53600
BRITISH AMERN TOB PLC SPONSORED ADR 110448107 236 2200 SH SOLE 1200 0 1000
BROWN FORMAN CORP CL B 115637209 357 5000 SH SOLE 2800 0 2200
BRUKER CORP COM 116794108 825 43200 SH SOLE 24300 0 18900
BRUNSWICK CORP COM 117043109 808 23600 SH SOLE 13300 0 10300
BT GROUP PLC ADR 05577E101 546 13000 SH SOLE 7400 0 5600
BUILDERS FIRSTSOURCE INC COM 12008R107 95 16200 SH SOLE 9100 0 7100
C H ROBINSON WORLDWIDE INC COM NEW 12541W209 1183 19900 SH SOLE 11300 0 8600
CABOT MICROELECTRONICS CORP COM 12709P103 455 13100 SH SOLE 7400 0 5700
CADENCE DESIGN SYSTEM INC COM 127387108 283 20300 SH SOLE 11500 0 8800
CALAMP CORP COM 128126109 340 31000 SH SOLE 17500 0 13500
CALIFORNIA WTR SVC GROUP COM 130788102 432 21700 SH SOLE 12200 0 9500
CALLIDUS SOFTWARE INC COM 13123E500 73 16000 SH SOLE 9000 0 7000
CALPINE CORP COM NEW 131347304 459 22300 SH SOLE 12600 0 9700
CAMERON INTERNATIONAL CORP COM 13342B105 1004 15400 SH SOLE 8700 0 6700
CAMPUS CREST CMNTYS INC COM 13466Y105 513 36900 SH SOLE 20800 0 16100
CAPITAL SR LIVING CORP COM 140475104 383 14500 SH SOLE 8200 0 6300
CARDTRONICS INC COM 14161H108 272 9900 SH SOLE 5600 0 4300
CARLISLE COS INC COM 142339100 373 5500 SH SOLE 3100 0 2400
CARMIKE CINEMAS INC COM 143436400 294 16200 SH SOLE 9100 0 7100
CARRIAGE SVCS INC COM 143905107 247 11600 SH SOLE 6500 0 5100
CATHAY GENERAL BANCORP COM 149150104 201 10000 SH SOLE 5600 0 4400
CBEYOND INC COM 149847105 213 28682 SH SOLE 16500 0 12182
CBL & ASSOC PPTYS INC COM 124830100 1152 48800 SH SOLE 27600 0 21200
CBRE GROUP INC CL A 12504L109 995 39400 SH SOLE 22200 0 17200
CELANESE CORP DEL COM SER A 150870103 308 7000 SH SOLE 3900 0 3100
CELLCOM ISRAEL LTD SHS M2196U109 222 27100 SH SOLE 15400 0 11700
CEMEX SAB DE CV SPON ADR NEW 151290889 347 28400 SH SOLE 16100 0 12300
CENTRAIS ELETRICAS BRASILEIR SPON ADR PFD B 15234Q108 177 28200 SH SOLE 15900 0 12300
CENTRAIS ELETRICAS BRASILEIR SPONSORED ADR 15234Q207 124 36200 SH SOLE 20400 0 15800
CHEMTURA CORP COM NEW 163893209 566 26200 SH SOLE 14800 0 11400
CHENIERE ENERGY INC COM NEW 16411R208 543 19400 SH SOLE 11000 0 8400
CHICOS FAS INC COM 168615102 329 19600 SH SOLE 11100 0 8500
CHINA LIFE INS CO LTD SPON ADR REP H 16939P106 347 8800 SH SOLE 4600 0 4200
CHINA PETE & CHEM CORP SPON ADR H SHS 16941R108 585 5000 SH SOLE 2800 0 2200
CHINA UNICOM (HONG KONG) LTD SPONSORED ADR 16945R104 160 11900 SH SOLE 6700 0 5200
CHRISTOPHER & BANKS CORP COM 171046105 375 58300 SH SOLE 32900 0 25400
CHURCHILL DOWNS INC COM 171484108 287 4100 SH SOLE 2300 0 1800
CIBER INC COM 17163B102 282 59900 SH SOLE 33900 0 26000
CINEMARK HOLDINGS INC COM 17243V102 353 12000 SH SOLE 6800 0 5200
CIRCOR INTL INC COM 17273K109 213 5000 SH SOLE 2900 0 2100
CIRRUS LOGIC INC COM 172755100 2186 96100 SH SOLE 54300 0 41800
CLEAR CHANNEL OUTDOOR HLDGS CL A 18451C109 81 10800 SH SOLE 6100 0 4700
CLEARWATER PAPER CORP COM 18538R103 285 5400 SH SOLE 3100 0 2300
CNH GLOBAL N V SHS NEW N20935206 504 12200 SH SOLE 6900 0 5300
CNO FINL GROUP INC COM 12621E103 152 13300 SH SOLE 7400 0 5900
CNOOC LTD SPONSORED ADR 126132109 479 2500 SH SOLE 1400 0 1100
COACH INC COM 189754104 730 14600 SH SOLE 8300 0 6300
COBALT INTL ENERGY INC COM 19075F106 457 16200 SH SOLE 9100 0 7100
COGENT COMM GROUP INC COM NEW 19239V302 364 13800 SH SOLE 7800 0 6000
COGNIZANT TECHNOLOGY SOLUTIO CL A 192446102 391 5100 SH SOLE 2900 0 2200
COINSTAR INC COM 19259P300 351 6000 SH SOLE 3500 0 2500
COLUMBIA BKG SYS INC COM 197236102 635 28900 SH SOLE 16300 0 12600
COMCAST CORP NEW CL A 20030N101 466 11100 SH SOLE 6200 0 4900
COMMUNITY HEALTH SYS INC NEW COM 203668108 611 12900 SH SOLE 7200 0 5700
COMPANHIA BRASILEIRA DE DIST SPN ADR PFD CL A 20440T201 1332 25000 SH SOLE 14200 0 10800
COMPANHIA DE BEBIDAS DAS AME SPON ADR PFD 20441W203 1177 27800 SH SOLE 15700 0 12100
COMPANHIA ENERGETICA DE MINA SP ADR N-V PFD 204409601 950 80200 SH SOLE 45300 0 34900
COMPANHIA PARANAENSE ENERG C SPON ADR PFD 20441B407 413 26700 SH SOLE 15100 0 11600
COMPANHIA SIDERURGICA NACION SPONSORED ADR 20440W105 143 32000 SH SOLE 18100 0 13900
COMPANIA DE MINAS BUENAVENTU SPONSORED ADR 204448104 322 12400 SH SOLE 6900 0 5500
COMPUTER PROGRAMS & SYS INC COM 205306103 298 5500 SH SOLE 3100 0 2400
COMSTOCK RES INC COM NEW 205768203 687 42300 SH SOLE 23900 0 18400
COMVERSE INC COM 20585P105 261 9300 SH SOLE 5200 0 4100
CONAGRA FOODS INC COM 205887102 523 14600 SH SOLE 8300 0 6300
CONCURRENT COMPUTER CORP NEW COM PAR $.01 206710402 104 13200 SH SOLE 7500 0 5700
CONSOLIDATED EDISON INC COM 209115104 574 9400 SH SOLE 5300 0 4100
CON-WAY INC COM 205944101 239 6800 SH SOLE 3800 0 3000
COOPER TIRE & RUBR CO COM 216831107 1601 62400 SH SOLE 35300 0 27100
CORE LABORATORIES N V COM N22717107 993 7200 SH SOLE 4100 0 3100
CORELOGIC INC COM 21871D103 292 11300 SH SOLE 6300 0 5000
CORESITE RLTY CORP COM 21870Q105 420 12000 SH SOLE 6700 0 5300
CORNERSTONE ONDEMAND INC COM 21925Y103 1037 30400 SH SOLE 17200 0 13200
COSAN LTD SHS A G25343107 298 15300 SH SOLE 8600 0 6700
COUSINS PPTYS INC COM 222795106 992 92800 SH SOLE 52300 0 40500
CRANE CO COM 224399105 1112 19900 SH SOLE 11200 0 8700
CREXUS INVT CORP COM 226553105 891 68400 SH SOLE 38600 0 29800
CROWN HOLDINGS INC COM 228368106 1340 32200 SH SOLE 18200 0 14000
CUBIST PHARMACEUTICALS INC COM 229678107 506 10800 SH SOLE 6100 0 4700
CURTISS WRIGHT CORP COM 231561101 354 10200 SH SOLE 5800 0 4400
CVB FINL CORP COM 126600105 124 11000 SH SOLE 6200 0 4800
CYBERONICS INC COM 23251P102 1582 33800 SH SOLE 19200 0 14600
CYNOSURE INC CL A 232577205 547 20900 SH SOLE 11800 0 9100
CYS INVTS INC COM 12673A108 202 17200 SH SOLE 9700 0 7500
DAKTRONICS INC COM 234264109 131 12500 SH SOLE 6800 0 5700
DEAN FOODS CO NEW COM 242370104 850 46900 SH SOLE 26500 0 20400
DELEK US HLDGS INC COM 246647101 1819 46100 SH SOLE 26100 0 20000
DELUXE CORP COM 248019101 373 9000 SH SOLE 5100 0 3900
DEMAND MEDIA INC COM 24802N109 488 56565 SH SOLE 32198 0 24367
DENBURY RES INC COM NEW 247916208 518 27800 SH SOLE 15700 0 12100
DENNYS CORP COM 24869P104 232 40200 SH SOLE 22700 0 17500
DEPOMED INC COM 249908104 199 33900 SH SOLE 19000 0 14900
DFC GLOBAL CORP COM 23324T107 566 34000 SH SOLE 19200 0 14800
DIANA SHIPPING INC COM Y2066G104 669 62800 SH SOLE 35500 0 27300
DICKS SPORTING GOODS INC COM 253393102 1154 24400 SH SOLE 13700 0 10700
DIEBOLD INC COM 253651103 773 25500 SH SOLE 14300 0 11200
DIGITAL GENERATION INC COM 25400B108 143 22200 SH SOLE 12500 0 9700
DIGITAL RIV INC COM 25388B104 206 14600 SH SOLE 8300 0 6300
DILLARDS INC CL A 254067101 416 5300 SH SOLE 3000 0 2300
DINEEQUITY INC COM 254423106 316 4600 SH SOLE 2600 0 2000
DOLBY LABORATORIES INC COM 25659T107 376 11200 SH SOLE 6300 0 4900
DOLLAR GEN CORP NEW COM 256677105 334 6600 SH SOLE 3700 0 2900
DOMINOS PIZZA INC COM 25754A201 1327 25800 SH SOLE 14600 0 11200
DONNELLEY R R & SONS CO COM 257867101 930 77200 SH SOLE 43600 0 33600
DR PEPPER SNAPPLE GROUP INC COM 26138E109 437 9300 SH SOLE 5200 0 4100
DREW INDS INC COM NEW 26168L205 218 6000 SH SOLE 3300 0 2700
DST SYS INC DEL COM 233326107 542 7600 SH SOLE 4300 0 3300
DU PONT E I DE NEMOURS & CO COM 263534109 683 13900 SH SOLE 7800 0 6100
DUN & BRADSTREET CORP DEL NE COM 26483E100 744 8900 SH SOLE 5000 0 3900
DUPONT FABROS TECHNOLOGY INC COM 26613Q106 704 29000 SH SOLE 16400 0 12600
DYCOM INDS INC COM 267475101 388 19700 SH SOLE 11100 0 8600
E M C CORP MASS COM 268648102 268 11200 SH SOLE 6300 0 4900
E TRADE FINANCIAL CORP COM NEW 269246401 165 15400 SH SOLE 8700 0 6700
EAGLE MATERIALS INC COM 26969P108 366 5500 SH SOLE 3100 0 2400
EAST WEST BANCORP INC COM 27579R104 1314 51200 SH SOLE 29000 0 22200
EBAY INC COM 278642103 206 3800 SH SOLE 2100 0 1700
EBIX INC COM NEW 278715206 697 43000 SH SOLE 24300 0 18700
EDISON INTL COM 281020107 237 4700 SH SOLE 2600 0 2100
EDWARDS LIFESCIENCES CORP COM 28176E108 526 6400 SH SOLE 3700 0 2700
EHEALTH INC COM 28238P109 1132 63300 SH SOLE 35800 0 27500
ELECTRONIC ARTS INC COM 285512109 554 31300 SH SOLE 17700 0 13600
ELECTRONICS FOR IMAGING INC COM 286082102 591 23300 SH SOLE 13200 0 10100
ELLINGTON FINANCIAL LLC COM 288522303 48982 1979080 SH SOLE 1979080 0 0
EMBRAER S A SP ADR REP 4 COM 29082A107 778 21800 SH SOLE 12400 0 9400
EMCOR GROUP INC COM 29084Q100 890 21000 SH SOLE 11700 0 9300
ENCANA CORP COM 292505104 222 11400 SH SOLE 6500 0 4900
ENCORE CAP GROUP INC COM 292554102 629 20900 SH SOLE 11800 0 9100
ENDOCYTE INC COM 29269A102 441 35400 SH SOLE 20000 0 15400
ENERGEN CORP COM 29265N108 713 13700 SH SOLE 7600 0 6100
ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 634 23300 SH SOLE 13200 0 10100
ENERSIS S A SPONSORED ADR 29274F104 1391 72300 SH SOLE 40800 0 31500
ENGILITY HLDGS INC COM 29285W104 324 13500 SH SOLE 7600 0 5900
ENPRO INDS INC COM 29355X107 481 9400 SH SOLE 5300 0 4100
ENSIGN GROUP INC COM 29358P101 291 8700 SH SOLE 4900 0 3800
ENSTAR GROUP LIMITED SHS G3075P101 410 3300 SH SOLE 1800 0 1500
EPAM SYS INC COM 29414B104 339 14600 SH SOLE 8200 0 6400
ERICSSON ADR B SEK 10 294821608 644 51100 SH SOLE 28900 0 22200
EURONET WORLDWIDE INC COM 298736109 234 8900 SH SOLE 5000 0 3900
EVERCORE PARTNERS INC CLASS A 29977A105 1352 32500 SH SOLE 18400 0 14100
EVEREST RE GROUP LTD COM G3223R108 493 3800 SH SOLE 2100 0 1700
EXELIS INC COM 30162A108 1183 108600 SH SOLE 60600 0 48000
EXLSERVICE HOLDINGS INC COM 302081104 266 8100 SH SOLE 4600 0 3500
EXPONENT INC COM 30214U102 205 3800 SH SOLE 2100 0 1700
EXPRESS INC COM 30219E103 1186 66600 SH SOLE 37700 0 28900
EXTERRAN HLDGS INC COM 30225X103 1242 46000 SH SOLE 26000 0 20000
F M C CORP COM NEW 302491303 308 5400 SH SOLE 3100 0 2300
F5 NETWORKS INC COM 315616102 1149 12900 SH SOLE 7200 0 5700
FABRINET SHS G3323L100 162 11100 SH SOLE 6300 0 4800
FAIRCHILD SEMICONDUCTOR INTL COM 303726103 267 18900 SH SOLE 10700 0 8200
FEDERAL SIGNAL CORP COM 313855108 314 38600 SH SOLE 21800 0 16800
FEDERATED INVS INC PA CL B 314211103 296 12500 SH SOLE 7000 0 5500
FEDEX CORP COM 31428X106 373 3800 SH SOLE 2100 0 1700
FELCOR LODGING TR INC COM 31430F101 481 80800 SH SOLE 45600 0 35200
FIFTH & PAC COS INC COM 316645100 1882 99700 SH SOLE 56200 0 43500
FINANCIAL ENGINES INC COM 317485100 369 10200 SH SOLE 5900 0 4300
FIRST AMERN FINL CORP COM 31847R102 775 30300 SH SOLE 17100 0 13200
FIRST BANCORP P R COM NEW 318672706 145 23200 SH SOLE 13100 0 10100
FIRST COMWLTH FINL CORP PA COM 319829107 276 37000 SH SOLE 20900 0 16100
FIRST FINL BANCORP OH COM 320209109 201 12500 SH SOLE 7100 0 5400
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